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Why isn't the NQ-ES spread tracking the percentage difference between NQ and ES?
I took a screenshot of tradingview with the two spreads NQ/ES (blue) and RTY/YM (orange) and the super spread (NQ/ES)/(RTY/YM) in black.
The super spread seems to track the difference between the two spreads just fine... It always touches 0% as soon as the normal spreads get back together. Please disregard the first cyan circles, as I mixed up the lines a bit...
But I understand, it's probably only good to track the differences from a theoretical point of view, once you want to build a position, you gotta pay close attention to the notional values and how they might impact these percentage calculations...
Can you help answer these questions from other members on NexusFi?
Trading: Primarily Energy but also a little Equities, Fixed Income, Metals and Crypto.
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You can't/shouldn't use percentage or ratio's with continuous contracts, where the continuous contract is constructed by splicing together absolute price series. Every time there is a rollover all your historical percentages and ratio's will change, making any form of historical back testing obsolete.